# Tag Info

Accepted

### Application of Poisson process in economic modelling

Most of the literature on "Strategic experimentation" (or Bandits) uses Poisson processes. Here players can use either a risky or safe arm and one of them generates a fixed stream of payoffs (usually ...
• 1,682
Accepted

### Complete Markets in Continuous Time

I am the last person that should be answering continuous time questions like these, but if there's no one else I guess I'll give it a shot. (Any correction of my dimly remembered continuous-time ...
• 3,712

### References to learn continuous-time dynamic programming

For continuous-time stochastic dynamic programming, the small, nontechnical Art of Smooth Pasting by Dixit is a wonderful option. It does a very effective job of conveying the basic intuition. Stokey'...
• 3,712

### References to learn continuous-time dynamic programming

Dynamic Programming & Optimal Control by Bertsekas Introduction to Modern Economic Growth by Acemoglu The Acemoglu book, even though it specializes in growth theory, does a very good job ...
• 714
Accepted

### From Discrete to Continuous time: Total Differential

You can separate your function in three terms by writing \begin{align} & v(c_{t+\Delta},u_{t+\Delta},t+\Delta)-v(c_t,u_t,t) = \\ & v(c_{t+\Delta},u_{t+\Delta},t+\Delta)-v(c_t,u_{t+\Delta},t+\...
• 3,202

### Complete Markets in Continuous Time

I've been meaning to post this for a long time. I came across this and thought it could add some insight. This example is from "Financial Asset Pricing Theory" by Munk. Consider the ...
• 9,155

### References to learn continuous-time dynamic programming

I think Kamien and Schwartz's Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management is pretty well known.
• 9,155

### Compute evolution of a distribution over time

Here's my best guess. I haven't checked to thoroughly if this is right, but maybe it will help. Evolution of population density I understand the model as follows. $f(a,t)$ is the density of people ...
• 9,155

### References to learn continuous-time dynamic programming

Controlled Markov Processes and Viscosity Solutions by Fleming and Soner includes a number of applications to Finance and Differential Games.
Accepted

• 1,630
1 vote

### He, Krishnamurthy (2013)

The paper is not trying to say that equation (10) is derived from equation (8). Equation (8) tells us how household makes its optimal consumption and 'saving' decision (it gives us demand for ...
• 43.6k
1 vote

### Stochastic growth in continuous time

More of a comment: There should be an expectation operator in the statement of the problem, otherwise problem doesn't make sense. That "...the deterministic and stochastic value function must be the ...
• 2,569
1 vote
Accepted

### Intuition of the Kolmogorov Equations

I will try to answer to your last question. I did not read the paper but in models with higher dimensions, it is always difficult to find an analytical solution. If there exists an analytical ...
• 2,095
1 vote

### Complete Markets in Continuous Time

Mathematically, market completeness in continuous-time models does not follow from discrete-time heuristics. In discrete-time, market completeness replies on only linear algebraic considerations. ...
• 2,569

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